Published on 6/5/2021 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $1 million contingent coupon autocallable yield notes on stocks
By William Gullotti
Buffalo, N.Y., June 7 – Credit Suisse AG, London Branch priced $1 million of contingent coupon autocallable yield notes due May 11, 2023 linked to the least performing of the American Depositary Shares of Taiwan Semiconductor Manufacturing Co. Ltd., the class A common stock of ContextLogic Inc. and the common stock of Walmart Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a monthly contingent coupon at an annual rate of 25.2% if each stock closes at or above its coupon barrier, 70% of its initial level, on the observation date for that period.
The notes will be called at par if each stock closes at or above its initial level on any monthly trigger observation date after six months.
The payout at maturity will be par unless any stock finishes below its 50% knock-in level, in which case investors will be fully exposed to the losses of the least-performing stock.
The agent is Credit Suisse Securities (USA) LLC.
| Issuer: | Credit Suisse AG, London Branch
|
| Issue: | Contingent coupon autocallable yield notes
|
| Underlying stocks: | Taiwan Semiconductor Manufacturing Co. Ltd., ContextLogic Inc., Walmart Inc.
|
| Amount: | $1,000,000
|
| Maturity: | May 11, 2023
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| Coupon: | 25.2% per year, payable monthly if each stock closes at or above its coupon barrier level on observation date
|
| Price: | Par
|
| Payout at maturity: | Par unless any stock finishes below its knock-in level, in which case full exposure to the losses of the least-performing stock
|
| Call: | Automatically at par if each stock closes at or above initial level on any monthly trigger observation date after six months
|
| Initial levels: | $115.36 for Taiwan, $13.43 for ContextLogic, $140.72 for Walmart
|
| Coupon barriers: | $80.752 for Taiwan, $9.401 for ContextLogic, $98.504 for Walmart; 70% of initial levels
|
| Knock-in levels: | $57.68 for Taiwan, $6.715 for ContextLogic, $70.36 for Walmart; 50% of initial levels
|
| Pricing date: | May 6
|
| Settlement date: | May 11
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| Agent: | Credit Suisse Securities (USA) LLC
|
| Fees: | 0.6%
|
| Cusip: | 22552XKK8
|
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